Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case
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Publication:5108226
DOI10.1287/moor.2018.0952zbMath1437.91412arXiv1403.3212OpenAlexW3101363694WikidataQ127810672 ScholiaQ127810672MaRDI QIDQ5108226
Jakub Trybuła, Dariusz Zawisza
Publication date: 30 April 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.3212
stochastic controlportfolio optimizationdynamic gameHeston modelMarkowitz problemstochastic factor model
Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
Related Items (7)
Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models ⋮ Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth ⋮ A note on monotone mean-variance preferences for continuous processes ⋮ Optimal investment in a general stochastic factor framework under model uncertainty ⋮ Constrained Monotone Mean-Variance Problem with Random Coefficients ⋮ Replenishment decisions for complementary components with supply capacity uncertainty under the CVaR criterion ⋮ On the parabolic equation for portfolio problems
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